A revised model to estimate PD of US banks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225420" target="_blank" >RIV/61989100:27510/10:10225420 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
A revised model to estimate PD of US banks
Original language description
One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Linear discriminant analysis is applied and verified on sample of 36 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper. This paper revised a model for determination of probability of defaultof financial institutions introduced in Gurný and Gurný (2009). Příspěvek reviduje odhadnutý model představený oběma autory v roce 2009.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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